Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 2 | 1 |
| Score | -5.5 | -3.63 | -8.12 |
| Market Cap (Millions USD) | 655.38 | 537.27 | 561.31 |
| Predicted Beta | -0.07 | -0.09 | -0.06 |
| Idiosyncratic Volatility | 3.37 | 3.18 | 4.54 |
Annualized return and volatility
| EWW | |
|---|---|
| Annualized Return | 0.0670 |
| Annualized Std Dev | 0.2799 |
| Annualized Sharpe (Rf=0%) | 0.2393 |
Row
Daily Return Statistics
| EWW | |
|---|---|
| Observations | 5111.0000 |
| NAs | 2.0000 |
| Minimum | -0.1241 |
| Quartile 1 | -0.0086 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0096 |
| Maximum | 0.2149 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0176 |
| Skewness | 0.2188 |
| Kurtosis | 9.0302 |
Downside Risk
| EWW | |
|---|---|
| Semi Deviation | 0.0125 |
| Gain Deviation | 0.0126 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0170 |
| Downside Deviation (Rf=0%) | 0.0123 |
| Downside Deviation (0%) | 0.0123 |
| Maximum Drawdown | 0.6494 |
| Historical VaR (95%) | -0.0266 |
| Historical ES (95%) | -0.0405 |
| Modified VaR (95%) | -0.0243 |
| Modified ES (95%) | -0.0254 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-09 | 2009-03-09 | 2010-12-13 | -0.6494 | 882 | 431 | 451 |
| 2013-04-12 | 2018-11-26 | NA | -0.4534 | 1719 | 1443 | NA |
| 2000-03-10 | 2003-02-12 | 2004-01-07 | -0.4086 | 980 | 748 | 232 |
| 2006-05-10 | 2006-06-13 | 2006-10-05 | -0.2807 | 106 | 24 | 82 |
| 2011-05-02 | 2011-09-22 | 2012-04-02 | -0.2601 | 236 | 101 | 135 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWW | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.4 | 2.5 | 0.0 | -1.9 | 2.9 | 0.0 | 0.8 | 1.5 | 0.0 | -2.8 | -0.4 | 0.0 | 2.8 |
| 2001 | -1.6 | 1.0 | 0.0 | 0.0 | 1.7 | 0.0 | -0.4 | 0.0 | 0.4 | 2.9 | 0.0 | 0.0 | 4.1 |
| 2002 | -2.1 | 1.7 | -0.5 | -0.3 | 0.0 | -2.7 | -3.2 | 0.0 | 4.7 | 1.9 | 0.0 | 0.0 | -0.6 |
| 2003 | 0.0 | 0.0 | 2.0 | 0.0 | 0.0 | 1.9 | -0.4 | 0.0 | 1.2 | 0.0 | 2.1 | 0.0 | 7.0 |
| 2004 | 0.0 | 3.1 | 0.4 | 0.0 | -1.6 | 0.1 | 0.0 | 0.4 | 2.1 | 0.9 | 1.6 | 0.0 | 7.1 |
| 2005 | 2.0 | -0.1 | 0.5 | 0.0 | 1.5 | 0.4 | 2.0 | 1.9 | 0.0 | 0.8 | 2.5 | 0.0 | 12.0 |
| 2006 | 0.7 | 2.4 | 0.0 | 0.5 | 3.4 | 0.0 | -0.8 | 1.5 | 0.0 | -0.4 | -1.0 | 0.0 | 6.4 |
| 2007 | 1.8 | -0.9 | 0.0 | 0.0 | 2.0 | 0.0 | -1.0 | 0.0 | 1.8 | -3.0 | 0.0 | 0.0 | 0.7 |
| 2008 | 2.4 | 0.0 | 4.6 | 0.2 | 0.0 | -1.9 | -0.6 | 0.0 | -0.1 | 0.0 | -7.1 | 0.0 | -2.8 |
| 2009 | 0.0 | 0.0 | 2.5 | 2.1 | 2.7 | 0.9 | 0.0 | -3.5 | -3.3 | 0.0 | 3.6 | 0.0 | 4.9 |
| 2010 | 2.4 | 0.9 | 1.0 | 0.0 | -1.6 | -0.3 | 0.0 | 3.0 | 1.7 | 0.6 | 1.5 | 0.0 | 9.3 |
| 2011 | 2.8 | -1.2 | 1.4 | 0.0 | -2.5 | 1.1 | -0.6 | -0.2 | 0.0 | -3.3 | -0.6 | 0.0 | -3.2 |
| 2012 | 1.8 | 1.7 | 0.0 | 0.9 | -1.5 | 0.0 | -0.4 | 0.0 | 1.1 | 1.1 | 0.0 | 0.0 | 4.7 |
| 2013 | 1.8 | 0.0 | -0.7 | -1.6 | 0.0 | 1.1 | 2.4 | 0.0 | 2.4 | 0.4 | 0.0 | 0.0 | 6.0 |
| 2014 | 0.0 | 0.0 | 0.0 | 0.9 | 0.0 | 0.6 | 0.7 | 0.0 | -1.6 | 0.0 | -2.4 | 0.0 | -1.9 |
| 2015 | 0.0 | 0.0 | 1.7 | -0.5 | -0.6 | -0.6 | 0.0 | -3.0 | -0.2 | 0.0 | 1.5 | 0.0 | -1.8 |
| 2016 | -0.6 | 2.9 | 0.0 | 0.0 | -0.2 | 0.3 | -0.3 | 0.5 | 0.0 | -2.8 | -1.9 | 0.0 | -2.2 |
| 2017 | 0.2 | 2.6 | 0.0 | 0.6 | 1.0 | 0.0 | -0.1 | 0.5 | 0.0 | -0.5 | 0.5 | 0.0 | 4.9 |
| 2018 | 1.8 | 0.5 | 0.0 | -1.3 | 0.7 | 0.0 | -0.5 | 0.0 | 0.7 | 4.2 | 0.0 | 0.0 | 6.1 |
| 2019 | -0.3 | -0.6 | 2.3 | -1.0 | 0.0 | 1.1 | -1.3 | 0.0 | -0.8 | 1.9 | 0.0 | -0.4 | 0.8 |
Row
Rolling Performance Chart
Snail Trail Chart
